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dc.contributor.authorVICONDOA, Alejandro
dc.date.accessioned2017-06-12T14:28:45Z
dc.date.available2017-06-12T14:28:45Z
dc.date.issued2017
dc.identifier.citationFlorence : European University Institute, 2017en
dc.identifier.urihttp://hdl.handle.net/1814/46744
dc.descriptionDefence date: 8 June 2017en
dc.descriptionExamining Board: Prof. Evi Pappa, EUI; Supervisor Prof. Árpád Ábrahám, EUI; Dr. Andrés Fernández Martin, Inter-American Development Bank; Prof. Morten Ravn, University College Londonen
dc.description.abstractThis thesis studies the effects of external shocks on emerging economies and proposes a novel methodology to assess the spillovers from financial markets to the real economy. The first chapter analyzes how anticipated and unanticipated fluctuations in the U.S. interest rate are transmitted to emerging economies. Exploiting Fed Funds future contracts, I propose a novel way to identify shocks to the U.S. interest rate. An anticipated (unanticipated) 25 basis points contractionary U.S. interest rate shock induces a fall of 0.5 percent in GDP of emerging economies one quarter before (after) the shock materializes. The observed dynamics are consistent with the predictions of a small open economy model augmented with a banking sector. Despite the change in relative prices, output significantly falls because banks face restricted access to international financial markets and, thus, tighten their credit supply. The second chapter assesses the relevance of terms of trade fluctuations to explain emerging economies business cycles. Using a sample of Latin American countries, newsaugmented Commodity-TOT (CTOT) shocks are identified by maximizing the forecast error variance share of the CTOT series at a finite future horizon. The combination of news and surprise CTOT shocks explains on average half of output fluctuations and anticipated shocks account for 53 percent of CTOT shocks. The third chapter proposes a novel methodology, called Bridge Proxy-SVAR, to study the relationship between time series sampled at different frequencies. The methodology comprises three steps: (I) identify the structural shocks of interest in high frequency systems; (II) aggregate the series of high frequency shocks at the lower frequency; (III) use the aggregated series of shocks as a proxy for the corresponding structural shock in lower frequency VARs. The Bridge Proxy-SVAR generalizes the applicability of the Proxy-SVAR and significantly mitigates temporal aggregation biases. The fourth chapter provides novel evidence on the large macroeconomic spillovers from changes in the liquidity of sovereign bonds by employing the Bridge Proxy-SVAR. Liquidity shocks, orthogonal to changes in default risk, induce strong recessionary effects in Italy.en
dc.description.tableofcontents--1. Monetary news, U.S. interest rate and business cycles in emerging economies --2. Emerging economies business cycles: the role of commodity terms of trade --3. Proxy-SVAR as a bridge between mixed frequencies --4. The real effect of liquidity shocks in sovereign debt markets: evidence from Italyen
dc.format.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesEUI PhD thesesen
dc.relation.ispartofseriesDepartment of Economicsen
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subject.lcshMacroeconomics
dc.subject.lcshInternational economic relations
dc.titleEssays in international macroeconomicsen
dc.typeThesisen
dc.identifier.doi10.2870/2427


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